The price of credit

Generating a zero-coupon curve is the first step in pricingany derivative structure, as any practitioner ofinterest rate derivatives knows. To generate thecurve, one needs to calibrate it to the market pricesof benchmark instruments, eg, par interest rateswaps. Although there is no unique way to do this,the term structure of par swap coupons is “dense” enough1 to leave verylittle uncertainty about discount factors, as well as the zero-coupon andforward rates.

Download the article as a PDF (opens new browser window)

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here